A numerical method for pricing discrete double barrier option by Legendre multiwavelet

DOI10.1016/j.cam.2017.07.033zbMath1378.91125arXiv1703.09129OpenAlexW2607155152MaRDI QIDQ2406310

Mariyan Milev, Amirhossein Sobhani

Publication date: 27 September 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.09129

zbMATH Keywords

option pricingBlack-Scholes modelLegendre multiwaveletdouble and single barrier options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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